Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.2718 |
| Annualized Std Dev | 0.6131 |
| Annualized Sharpe (Rf=0%) | -0.4433 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3556.0000 |
| NAs | 1.0000 |
| Minimum | -0.3656 |
| Quartile 1 | -0.0181 |
| Median | -0.0008 |
| Arithmetic Mean | -0.0005 |
| Geometric Mean | -0.0013 |
| Quartile 3 | 0.0161 |
| Maximum | 0.4212 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0018 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0015 |
| Stdev | 0.0386 |
| Skewness | 0.1849 |
| Kurtosis | 14.1648 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0269 |
| Gain Deviation | 0.0300 |
| Loss Deviation | 0.0284 |
| Downside Deviation (MAR=210%) | 0.0315 |
| Downside Deviation (Rf=0%) | 0.0271 |
| Downside Deviation (0%) | 0.0271 |
| Maximum Drawdown | 0.9911 |
| Historical VaR (95%) | -0.0549 |
| Historical ES (95%) | -0.0884 |
| Modified VaR (95%) | -0.0509 |
| Modified ES (95%) | -0.0509 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-03-06 | 2021-03-12 | NA | -0.9911 | 3537 | 3531 | NA |
| 2007-02-13 | 2007-02-26 | 2007-02-27 | -0.0478 | 10 | 9 | 1 |
| 2007-02-08 | 2007-02-08 | 2007-02-12 | -0.0166 | 3 | 1 | 2 |
| 2007-02-28 | 2007-02-28 | 2007-03-01 | -0.0161 | 2 | 1 | 1 |
| 2007-02-05 | 2007-02-05 | 2007-02-07 | -0.0132 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 2.4 | 2.4 | -0.5 | -1.7 | -0.6 | 3.6 | -2.1 | -2.6 | 3.7 | -0.5 | 2.5 | 6.6 |
| 2008 | -1.5 | 3.4 | -3.2 | 5.1 | -1.3 | -0.9 | 0.5 | 1.5 | 1.7 | -2.5 | 19 | -1.7 | 19.7 |
| 2009 | 2.2 | 5.7 | -5 | -6.1 | -7.2 | 0.1 | -1.2 | 3.7 | 5.7 | 7.1 | -2.8 | 1.9 | 2.8 |
| 2010 | -6.1 | -2 | -3.6 | 2.4 | 8.6 | 0.5 | 0.6 | -7.4 | -2.3 | -0.6 | -5.6 | -0.2 | -15.5 |
| 2011 | -3.4 | 3.5 | -0.6 | -3.1 | 4.6 | -2.1 | 0.3 | 1.5 | 5.8 | 6 | 0.8 | 0.3 | 13.9 |
| 2012 | -0.8 | -1.9 | -1.4 | -2.5 | 4.8 | -6.4 | -1 | -1.8 | -0.9 | -1.1 | 0.2 | -4 | -16 |
| 2013 | -1.6 | 0.4 | 0.2 | 2.9 | 4.1 | -1.5 | -2.5 | 0.3 | -1.5 | 0.7 | 0.4 | -1.8 | 0 |
| 2014 | 2.7 | -1.1 | -1 | 0.8 | 0 | -0.2 | 1.5 | -1.2 | 3.9 | -3.9 | -0.8 | 1.4 | 1.7 |
| 2015 | -1.6 | 0.5 | -0.4 | -0.4 | 0.6 | 3 | 5.1 | 7.6 | -0.4 | -1.5 | -1.4 | -0.9 | 10.3 |
| 2016 | 3.8 | -4 | 2.8 | 0.1 | -0.4 | -1.2 | 6.6 | 0.5 | -2.5 | -0.1 | -0.5 | 0.6 | 5.5 |
| 2017 | 1.5 | -4.2 | 0.3 | 0.4 | -1.2 | -0.9 | 0.1 | -1.9 | 0.1 | -2.4 | -1.7 | 0.6 | -9 |
| 2018 | -2 | 0.3 | -4.4 | 1.2 | -0.7 | -1.2 | 2.7 | 1.3 | -2.9 | -1.9 | 0.9 | -0.7 | -7.4 |
| 2019 | -3.3 | -3.7 | -2.7 | 4.3 | 3.5 | -0.4 | 5.1 | 0.2 | 4.3 | -5 | 1.9 | -1.2 | 2.3 |
| 2020 | 6.2 | -2.7 | 8.7 | 11.6 | -3.3 | 4.9 | 1 | 1.3 | 6.1 | -0.7 | -0.6 | 1.4 | 38.5 |
| 2021 | -1.5 | -4.9 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -6.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-02-01 1369. SPY 145. 6.00e-3 0.0165 0.0211 0.0493 0.134 0.274 0.293 GLD 65.2 0.006 0.0181
2 2007-02-02 1383 SPY 145. 1.40e-3 0.0186 0.0243 0.0509 0.128 0.271 0.280 GLD 64.3 -0.0144 0.0028
3 2007-02-05 1365. SPY 145. 3.00e-4 0.0197 0.0224 0.0584 0.141 0.273 0.286 GLD 64.3 0.0005 0.0085
4 2007-02-07 1395 SPY 145. 2.20e-3 0.0102 0.0285 0.0635 0.147 0.283 0.330 GLD 64.6 -0.0025 -0.0031
5 2007-02-08 1372. SPY 145. -1.30e-3 0.0028 0.028 0.0503 0.156 0.267 0.334 GLD 65.5 0.0138 0.0046
6 2007-02-09 1374. SPY 144. -7.40e-3 -0.006 0.017 0.0385 0.137 0.257 0.332 GLD 66.1 0.0092 0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
